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Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - 2016

Persistent link: https://www.econbiz.de/10011777185

Forecasting the variance of stock index returns using jumps and cojumps

Clements, Ada; Liao, Yin - In: International journal of forecasting 33 (2017) 3, pp. 729-742

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Modelling interregional links in electricity price spikes

Clements, Adam; Herrera, Rodrigo; Hurn, Stan - In: Energy economics 51 (2015), pp. 383-393

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Limit theory of model order change-point estimator for GARCH models

Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. - In: Journal of mathematical finance 8 (2018) 2, pp. 426-445

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Nonparametric inference for extremal conditional quantiles

Kurisu, Daisuke; Otsu, Taisuke - 2021

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Stochastic modelling of operational quality of k-out-of-n systems

Cha, Ji Hwan; Finkelstein, Maxim - In: Top : an official journal of the Spanish Society of … 28 (2020) 2, pp. 424-441

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Diffusion on social media platforms : a point process model for interaction among similar content

Yoo, Eunae; Gu, Bin; Rabinovich, Elliot - In: Journal of management information systems : JMIS 36 (2019) 4, pp. 1105-1141

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Point process models for extreme returns : harnessing implied volatility

Herrera, Rodrigo; Clements, Adam - In: Journal of banking & finance 88 (2018), pp. 161-175

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Asymptotic dependence modelling of the BRICS stock markets

Sigauke, Caston; Mukhodobwane, Rosinah; Chagwiza, Wilbert; … - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-32

With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity indices from 5 January 2010 to 6 August 2018...

Persistent link: https://www.econbiz.de/10013368365

Optimal stochastic control of the intensity of point processes

Kim, Bara; Kim, Jeongsim; Wang, Chia-Li - In: Operations research letters 50 (2022) 5, pp. 574-580

Persistent link: https://www.econbiz.de/10013449448